EFAX vs. XLE
Compare and contrast key facts about SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Energy Select Sector SPDR Fund (XLE).
EFAX and XLE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFAX is a passively managed fund by State Street that tracks the performance of the MSCI EAFE ex Fossil Fuels Index. It was launched on Oct 24, 2016. XLE is a passively managed fund by State Street that tracks the performance of the Energy Select Sector Index. It was launched on Dec 16, 1998. Both EFAX and XLE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EFAX or XLE.
Key characteristics
| EFAX | XLE | |
|---|---|---|
| YTD Return | 6.23% | 14.60% |
| 1Y Return | 17.31% | 15.47% |
| 3Y Return (Ann) | 0.90% | 22.36% |
| 5Y Return (Ann) | 5.59% | 14.95% |
| Sharpe Ratio | 1.34 | 0.92 |
| Sortino Ratio | 1.91 | 1.33 |
| Omega Ratio | 1.23 | 1.17 |
| Calmar Ratio | 1.30 | 1.22 |
| Martin Ratio | 7.01 | 2.86 |
| Ulcer Index | 2.50% | 5.71% |
| Daily Std Dev | 13.11% | 17.81% |
| Max Drawdown | -32.53% | -71.54% |
| Current Drawdown | -7.78% | -2.82% |
Correlation
The correlation between EFAX and XLE is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
EFAX vs. XLE - Performance Comparison
In the year-to-date period, EFAX achieves a 6.23% return, which is significantly lower than XLE's 14.60% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EFAX vs. XLE - Expense Ratio Comparison
EFAX has a 0.20% expense ratio, which is higher than XLE's 0.13% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
EFAX vs. XLE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and Energy Select Sector SPDR Fund (XLE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
EFAX vs. XLE - Dividend Comparison
EFAX's dividend yield for the trailing twelve months is around 2.48%, less than XLE's 3.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF | 2.48% | 2.71% | 2.81% | 2.58% | 1.69% | 2.71% | 3.05% | 2.89% | 0.26% | 0.00% | 0.00% | 0.00% |
XLE Energy Select Sector SPDR Fund | 3.18% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% | 1.73% |
Drawdowns
EFAX vs. XLE - Drawdown Comparison
The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum XLE drawdown of -71.54%. Use the drawdown chart below to compare losses from any high point for EFAX and XLE. For additional features, visit the drawdowns tool.
Volatility
EFAX vs. XLE - Volatility Comparison
The current volatility for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) is 4.20%, while Energy Select Sector SPDR Fund (XLE) has a volatility of 5.94%. This indicates that EFAX experiences smaller price fluctuations and is considered to be less risky than XLE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.